摘要
以2002年至2018年A股上市公司的季报量化了公司的盈利季节性,考察了市场对盈利季节性的反应,并从行为金融学的角度解释了其原因.研究发现,相较于盈利旺季而言,股票在其盈利淡季的盈余公告发布期间能够获得更大的累计超额收益,且买入盈利淡季股票、卖出盈利旺季股票的套利组合在经过标准风险因子的调整后每月能够获得显著为正的超额收益;同时,相较于其他季度而言,股票在盈利淡季的盈余公告发布后具有更大的未预期盈余.结果表明,由于市场参与者受代表性启发(representativeness heuristic)认知方式的影响,对盈利淡季近几年持续的低盈利情况反应过度,因此对该季度的盈利产生悲观情绪而低估该季度的盈利,故盈利淡季的盈余公告发布后能获得更大的超额收益.
This study quantifies earnings seasonality and analyzes the market reaction to it based on the theories of behavior finance over the period of 2002 to2018.The results show that firms with historically lower earnings in one quarter of the year("negative seasonality quarters")have higher abnormal returns during their announcement.After controlling risks using the Fama-French three-factor model and Carhart four-factor model,the arbitrage portfolio of buying negative seasonality stocks and selling positive seasonality stocks can still have significant positive monthly returns.Besides,we find that investors have larger earnings surprise in negative seasonality quarters,consistent with the returns being driven by mistaken earnings estimates.This study argues that market participants are overreacted to the situation that negative seasonality stocks has historically lower earnings in that quarter due to the perception of the representativeness heuristic,and results in the pessimistic forecast in the subsequent negative seasonality quarter,therefor negative seasonality stocks can earn lager abnormal returns during announcement period.
作者
何俞瑾
蒋丹凌
朱宏泉
HE Yujin;JIANG Danling;ZHU Hongquan(School of Economic and Management,Southwestern Jiaotong University,Chengdu 610031;College of Business,State University of New York at Stony Brook,New York 11794)
出处
《系统科学与数学》
CSCD
北大核心
2020年第10期1805-1820,共16页
Journal of Systems Science and Mathematical Sciences
基金
国家自然科学基金(91746109,71473206,71773100)资助课题。
关键词
盈余公告
盈利季节性
代表性启发
市场反应
超额收益
Earnings announcement
earnings seasonality
representativeness heuristic
market reaction
abnormal return
